Package Hedging

Package description: Hedging

See:
Description

Class Summary

CallHedgeStatisticsGraphs	European calls on a constant volatility asset are hedged and the mean and standard deviation of the hedge profit and loss computed as a function of the strike price K and or the volatility hedge_sigma employed in computing the hedge weights.
DeltaHedge	Hedge using a delta hedge (defined in the package TradingStrategies) as the trading strategy hedging the option payoff.
Hedge	Hedge Profit And Loss: this class provides methods to compute the profit/loss from hedging an option using various deltas:
OptionHedge	Hedge using a TradingStrategy defined by the the abstract method OptionHedge.weight(int) trading in the underlying to hedge the change in option value.
VectorDeltaHedge	Hedge using a delta hedge (defined in the package TradingStrategies) as the trading strategy hedging the option payoff.
VectorHedge	A hedge for an option on a basket (asset vector).

Package Hedging Description

Package description: Hedging

Defines hedges for both options on single assets and options on baskets as particular trading strategies. Delta hedges are also defined. Recall that delta hedges need not use classical (analytic, instantaneous) deltas. Instead the term delta hedge refers to any hedge using one of the 6 types of hedge weights which are implemented. See Flag for the flags which identify the various hedge weights (deltas).